Well...it works on my system. ;)
If you don't mind, edit /etc/sysconfig/auditd. Make the following change:
EXTRAOPTIONS="-f"
Then stop the audit daemon and start it. See if that tells us why it doesn't
want to start.
Thanks.

I followed the instructions from comment #1 and got the same results that I
initially reported. I did observe that /etc/sysconfig/auditd contained the line:
EXTRAOPTIONS=""
which I commented out before adding:
EXTRAOPTIONS="-f".
The file /var/log/audit/audit.log is still empty.

Thanks for the info. The problem looks like a SE Linux policy problem. I'll
forward this to the right person. You should get rid of the -f in EXTRAOPTIONS
now that you've gave me some information for troubleshooting.